Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0042
Annualized Std Dev 0.0987
Annualized Sharpe (Rf=0%) 0.0429

Row

Daily Return Statistics

Close
Observations 3302.0000
NAs 1.0000
Minimum -0.0842
Quartile 1 -0.0019
Median 0.0003
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0021
Maximum 0.1086
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0062
Skewness 0.3520
Kurtosis 66.8494

Downside Risk

Close
Semi Deviation 0.0045
Gain Deviation 0.0051
Loss Deviation 0.0057
Downside Deviation (MAR=210%) 0.0100
Downside Deviation (Rf=0%) 0.0045
Downside Deviation (0%) 0.0045
Maximum Drawdown 0.3130
Historical VaR (95%) -0.0071
Historical ES (95%) -0.0144
Modified VaR (95%) -0.0012
Modified ES (95%) -0.0012
From Trough To Depth Length To Trough Recovery
2008-01-24 2008-12-15 2012-11-07 -0.3130 1195 214 981
2020-03-10 2020-03-19 2021-02-08 -0.2359 232 8 224
2012-12-03 2013-09-03 2016-06-15 -0.1908 890 189 701
2016-07-08 2016-12-01 2019-08-09 -0.1163 778 103 675
2021-02-12 2021-03-05 NA -0.0382 26 15 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 0.1 -2.9 -0.7 0 -0.1 0.6 0.6 -0.1 -1.5 0.2 -5.3 -0.2 -9
2009 -1 0.5 -0.1 -0.8 -3.3 0.9 0.2 0.4 0.2 -0.1 -0.1 0 -3.2
2010 -0.2 -0.2 -0.4 0 -0.6 -0.6 0.2 -0.5 -0.8 -0.4 -0.7 0.2 -4
2011 -0.8 -0.4 0.1 0.1 -0.1 -0.7 0.3 0.1 0.1 0.7 -0.3 0.1 -0.7
2012 -0.5 -0.9 -0.1 -0.4 -0.2 -0.3 -0.4 0 -0.2 -0.4 0.4 0.1 -2.9
2013 -0.1 -0.4 -0.3 0 -0.6 -0.5 -0.8 0.5 -0.9 -0.9 0 0.4 -3.6
2014 0.2 0.1 -0.5 -0.1 0.1 -0.5 -0.1 -0.4 0.2 -0.3 -0.1 0.3 -1.2
2015 0.6 0.5 -0.3 -1 -0.4 -0.3 0.3 -0.2 -0.3 0.1 0 0.3 -0.6
2016 -0.6 -0.6 -0.1 0.2 0 -0.2 -0.7 -0.1 -0.1 -0.5 -1 0.9 -2.9
2017 -0.5 -0.8 0.2 -0.3 -0.3 0.1 0.1 -0.5 0.2 -0.1 0.4 0.1 -1.5
2018 -0.7 0.1 0.6 0 -0.4 0.2 -0.5 -0.1 -0.3 -0.5 0.2 0.3 -1.1
2019 -0.4 -0.4 -0.5 -0.1 0.5 -0.3 0.1 0 -0.2 -0.4 -0.3 -0.3 -2.3
2020 0.2 -0.3 -5.4 0.7 -0.6 0 -0.3 0.1 -0.2 0 0.2 -0.2 -5.8
2021 -0.2 -0.3 -0.1 NA NA NA NA NA NA NA NA NA -0.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart